3 Answers
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Go to System Preferences > Energy Saver to set how long to wait before putting the computer to sleep. Pull the slider all the way to the right for Never. You can also adjust how long to wait before putting the display to sleep.

To set a Hot Corner to sleep the display, go to System Preferences > Exposé & Spaces > Exposé and set a corner to Sleep Display. Then just move your mouse pointer into the corner to sleep the display. (Thanks for reminding me of that, jmlumpkin.)